What is the different between a .msi and .zip Blender installer file?
Both versions of blender have the same functionality, features, plugins, etc.

The main difference is that the Zip file does not get installed in the system as a program, meaning that the executable files are not in the programs folder, the application does not appear on the start menu, or as part of the programs menu. Also the operating system will not associate .blend files to open with blender automatically.

The zip file can be extracted to any folder you want, and the contained blender.exe program can be run from there. It can even be executed from an external drive, so that it can also be run on computers where the user has no access to modifying the operating system (in schools, public computers, your parent's computer, etc).

The zip file allows you to use different versions of the program, whereas the installed version will use only the latest one installed.

The files used on the zip file don't need to be uninstalled from the system, you can simply delete the containing folder.

To uninstall the .msi file you need to use the OS uninstall tools.